中国商品期货指数在资产配置中的作用——基于动态条件相关系数的理论和实证

The Role of China Commodity Futures Index in Asset Allocation——an Empirical Analysis Based on DCC-GARCH Model

本文立足于新兴的中国商品期货市场,基于DCC-GARCH模型与Markowitz的均值-方差理论框架,较为全面地考察中国商品期货与上证股票、债券的动态相关性,考察各自在资产配置中所起到的作用。本文发现与国际经验相反,中国市场中的商品期货与上证综指有着正的动态相关性,第一与国际相反,第二恰巧说明我们可以通过做空商品期货、做多上证综指以降低股票投资组合的风险。本文结果表明,对于股票类基金,可选择棉花、燃油以提高风险调整收益;对于债券类资产,可选择的商品期货类品种较多。对于在股票、债券市场里已经经过充分分散化配置的投资者,至少在近期要避免配置沪铝与焦炭。

This article classifies 9 kinds of commodity futures into 4 categories,i.e.agricultures,energy,industrial products and precious metal,to roundly inspect their respective correlations with Shanghai Composite（Equities）and Shanghai T-Bond（Bonds）,based on the emerging Chinese commodity futures markets using DCC-GARCH and Mean-Variance Theory.On the contrary to general international empirical analysis,Chinese commodity futures have relatively positive correlations with Chinese equities,indicating the fact we could diversify equity risks by shorting some kinds of commodity futures.Its conclusion suggests cotton and fuel make a difference in diversifying equities risk while any kind of commodity could effectively diversify among bond assets.For those investing in both equities and bonds,they should avoid allocating aluminum or coke,at least in the current period.In summary,this article provides a relatively practical methodology and conclusion for Chinese markets participants.